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| Acronym | Name | Reference | Details |
|
| Panel A: value-versus-growth |
| AM | Asset-to-market | Fama and French [35] | Total assets/fiscal-year-end market capitalization |
| DER | Debt-to-equity ratio | Bhandari [36] | Total liabilities/fiscal-year-end market capitalization |
| LG | Liability growth | Litzenberger and Ramaswamy [37] | Annual growth in total liabilities |
| OCFP | Operating cash flow-to-price | Desai et al. [38] | Operating cash flows/fiscal-year-end market capitalization |
| PY | Payout yield | Boudoukh et al. [39] | (Income before extraordinary items - the change of book equity)/fiscal-year-end market capitalization |
| Rev1 | Reversal | De Bondt and Thaler [40] | Cumulative returns from months t-60 to t-13 |
| SG | Sustainable growth | Lockwood and Prombutr [41] | Annual growth in book equity |
| SMI | Sales growth minus inventory growth | Abarbanell and Bushee [42] | Annual growth in sales - annual growth in inventory |
| TG | Tax growth | Thomas and Zhang [43] | Annual growth in taxes payable |
| EP | Earnings-to-price | Cakici et al. [31] | net profit excluding nonrecurrent gains/losses (in most recent quarterly financial statement)/last month-end market capitalization |
| BM | Book-to-market equity | Wang and Xu [44] | Book value of equity (in most recent quarterly financial statement)/last month-end market capitalization |
| CP | Cash flow-to-price | Cakici et al. [31] | net change in cash or cash equivalents (between the two most recent quarterly financial statements)/last month-end market capitalization |
| SP | Sales-to-price | Barbee et al. [45] | The annual operating revenue divided by fiscal-year-end market capitalization |
|
| Panel B: investment |
| ACC | Accruals | Sloan [46] | (Income before extraordinary items - operating cash flows)/average total assets |
| PACC | Percent accruals | Hafzalla et al. [47] | (Total profit - operating cash flow)/net profit |
| dBE | Change in shareholders’ equity | Richardson et al. [48] | Annual change in book equity/one-year-lagged total assets |
| dPIA | Changes in PPE and inventory-to-assets | Lyandres et al. [49] | (Annual change in gross property, plant, and equipment + the annual change in inventory)/one-year-lagged total assets |
| IA | Investment-to-assets | Cooper et al. [50] | Annual change in total assets/one-year-lagged total assets |
| IVC | Inventory change | Thomas and Zhang [51] | Annual change in inventory/average total assets |
| IVG | Inventory growth | Belo and Lin [52] | Annual growth in inventory |
| Panel C: profitability |
| NOA | Net operating assets | Hirshleifer et al. [53] | (Operating assets - operating liabilities)/total assets |
| ATO | Asset turnover | Soliman [54] | Sales/net operating assets |
| CFOA | Cash flow over assets | Asness et al. [55] | Cash flow from operation/total assets |
| CTO | Capital turnover | Haugen and Baker [56] | Sales/total assets |
| EBIT | Earnings before interests and taxes | Greenblatt [57] | net profit + income tax expenses + financial expenses |
| EY | Earnings yield | Greenblatt [57] | EBIT/enterprise value |
| GM | Gross margins | Novy-Marx [58] | (Operating revenue - operating expenses)/operating revenue |
| GP | Gross profitability ratio | Novy-Marx [58]
Jiang et al. [59] | (Operating revenue - operating expenses)/average total assets |
| NPOP | Net payout over profits | Asness et al. [55] | (net income - changes in book equity)/total profits |
| ROIC | Return on invested capital | Greenblatt [57] | (EBIT - nonoperating income)/noncash enterprise value |
| TBI | Taxable income-to-book income | Green et al. [60] | Pretax income/net income |
| Z | Z-score | Dichev [61] | Z-score = 1.2 × (working capital/total assets) + 1.4 × (retained earnings/total assets) + 3.3 × (EBIT/total assets) + 0.6 × (market value of equity/book value of total liabilities) + (sales/total assets) |
| ROE | Return on equity | Guo et al. [62] | Net earnings (in most recent quarterly financial statement)/book equity |
|
| Panel D: momentum |
| CHMOM | Change in 6-month momentum | Gettleman and Marks [63] | Cumulative returns from months t-6 to t-1 minus those from months t-12 to t-7 |
| MOM6M | 6-month momentum | Jegadeesh and Titman [64] | Cumulative returns from months t-6 to t-2 |
| MOM12M | 12-month momentum | Jegadeesh and Titman [64] | Cumulative returns from months t-12 to t-2 |
| MOM36M | 36-month momentum | Jegadeesh and Titman [64] | Cumulative returns from months t-36 to t-13 |
| VOLT | Volume trend | Haugen and Baker [56] | Five-year trend in monthly trading volume/five-year average trading volume |
| REV | 1-month reversal | Cakici et al. [31] | Cumulative returns over the month t-1 |
|
| Panel E: trading frictions |
| PRC | Price | Blume and Husic [65] | Share price at month t-1 |
| RVOL | RMB trading volume | Chordia et al. [66] | Natural log of RMB trading volume from month t-2 |
| STD_RVOL | Volatility of RMB trading volume | Chordia et al. [66] | Standard deviation of daily RMB trading volume at month t-1 |
| STD_TURN | Volatility of turnover | Chordia et al. [66] | Standard deviation of daily share turnover at month t-1 |
| B_DIM | The Dimson beta | Dimson [67] | Estimated using lead, lag, and current market returns |
| B_DN | Downside beta | Ang et al. [68] | Conditional covariance between a stock’s excess return and market excess return/the conditional variance of market excess return (condition: Market excess return is lower than the average level) |
| B_FF | Fama and French beta | Fama and French [35] | Calculated by regressing monthly returns on the current and recent lag market return with a five-year rolling window |
| B_FP | Frazzini and Pedersen beta | Frazzini and Pedersen [69] | Return volatilities for the stock/the market return volatilities × their return correlation |
| IVOL | Idiosyncratic return volatility | Ali et al. [70] | Standard deviation of residuals of weekly returns on weekly equal-weighted market returns from months t-36 to t-1 |
| BETA | Market beta | Fama and MacBeth [71] | Estimated market beta from weekly returns and market returns from months t-36 to t-1 |
| B_HS | Hong and Sraer beta | Hong and Sraer [72] | Summed-coefficients computed by daily returns with a one-year rolling window |
| ILLIQ | Illiquidity | Amihud [9] | Average of (absolute daily return/daily RMB trading volume) over the past 12 months ending on June 30 |
| PRCDEL | Price delay | Hou and Moskowitz [73] | The proportion of variation in weekly returns from months t-36 to t-1 explained by 4 lags of weekly market returns incremental to contemporaneous market returns |
| TURN3 | 3-month share turnover | Datar et al. [74] | Average monthly trading volume for 3 months/number of shares outstanding |
| MV | Firm size | Wang and Xu [44] | Market value at month t-1 |
| STD | One-month volatility | Cakici et al. [31] | Standard deviation of daily returns over the month t-1 |
| MAX | Maximum daily returns | Carpenter et al. [75] | Maximum of daily returns over month t-1 |
| TURN | Twelve-month turnover | Liu et al. [4] | Average daily share turnover over the past one year |
| ABTURN | One-month abnormal turnover | Liu et al. [4] | Average daily turnover over the past one month/average daily turnover over the past one year |
|
| Panel F: intangibles |
| AGE | Firm age | Jiang et al. [76] | Number of years since IPO year |
| CFD | Cash flow-to-debt | Ou and Penman [77] | Earnings before depreciation and extraordinary items/average total liabilities |
| CR | Current ratio | Ou and Penman [77] | Current assets/current liabilities |
| CRG | Current ratio growth | Ou and Penman [77] | Annual growth in current ratio |
| QR | Quick ratio | Ou and Penman [77] | (Current assets – inventory)/current liabilities |
| QRG | Quick ratio growth | Ou and Penman [77] | Annual growth in quick ratio |
| SI | Sales-to-inventory | Ou and Penman [77] | Sales/total inventory |
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